Correlation and spillover effects between the US and international banking sectors: New evidence and implications for risk management

Return connectedness among commodity and financial assets during the COVID-19 pandemic: Evidence from China and the US

“…This is an important task for existing COVID-19 related researches. In terms of research method, conditional correlation methods ( Balcilar and Ozdemir, 2013 ; Chen et al, 2020 ; Dua and Tuteja, 2016 ; El Ghini and Saidi, 2016 ; Lei et al, 2019 ; Liang et al, 2020a ; Liang et al, 2020b ; Öztek and Öcal, 2017 ; Tsuji, 2020 ; Wei et al, 2017 , 2020a , 2020b , 2021 ; Wright and Hirano, 2002 ; Zhang et al, 2019 , 2020 ; Zhang et al, 2019a,b ), Granger-causality ( Balboa et al, 2015 ; Massa and Rosellón, 2020 ; Papana et al, 2017 ; Woźniak, 2016 ; Yang et al, 2021 ), copula models ( Apergis et al, 2020 ; Boako et al, 2019 ; Kotkatvuori-Örnberg, 2016 ; Mensah and Premaratne, 2017 ; Rodriguez, 2007 ; Wen et al, 2012 ), and conditional value-at-risk ( Ji et al, 2018a , 2019 ; Li and Wei, 2018 ; Mensi et al, 2017 ; Reboredo and Ugolini, 2015 , 2016 ) are widely used to explore the characteristics of the information transmission between two variables/assets. Since Diebold and Yılmaz (2009 , 2012 , 2014) 's study which explore the connectedness across an asset system, a large body of literature realizes the importance of uncovering system spillovers in a large system ( Ji et al, 2018b ; Lundgren et al, 2018 ; Tiwari et al, 2020 ; Wang et al, 2020 ; Wei et al, 2019 ; Yoon et al, 2019 ; Zeng et al, 2019 ; Zhang, 2017 ).…”

An Analysis of Stock Return Transmission in North and Latin America

“…This study found evidence of bidirectional return transmission between crude oil and Latin American oil equities, and unidirectional return transmission from North American oil equities to crude oil. Lastly, Tsuji (2019) examined stock return transmission between the US and other international banking sectors, and found evidence of mostly unidirectional return transmission from the US to other international banking sectors.…”

“…The return nexuses between international stock markets have recently become the subject of research, and there indeed exist some extant studies on return transmission (e.g., Arouri et al, 2011aArouri et al, , 2011bArouri et al, , 2012Kim et al, 2015;Syriopoulos et al, 2015;Tsuji, 2018aTsuji, , 2018bTsuji, , 2019, with the studies of volatility spillovers in financial and commodity markets (e.g., Savva et al, 2009;Yilmaz, 2009, 2012;Maghyereh and Awartani, 2012;Sadorsky, 2012;Balli et al, 2015;Gamba-Santamaria et al, 2017;Guo, 2017;Leung et al, 2017). However, regardless of its significance of examinations, existing studies focusing on the return transmission in North and Latin American stock markets are limited.…”

Spillovers and Dynamic Correlations between REITs, Exchange Rates, and Equities in Japan

“…Based on this motivation and considering the importance of multivariate generalized autoregressive conditional heteroscedasticity (MGARCH) model (e.g., Bollerslev et al, 1988;Engle and Kroner, 1995;Engle, 2002;Tsuji, 2017aTsuji, , 2017bTsuji, , 2020, this study attempts to reveal the recent situation of return transmission, volatility spillovers, and dynamic correlations between the Tokyo Stock Exchange (TSE) Real Estate Investment Trust (REIT) index, the Nikkei 225 index, and the yen/dollar exchange rate by using a trivariate vector autoregressive (VAR)(3)-dynamic conditional correlation (DCC)-spillover-MGARCH model. As a result, we find new many beneficial findings, and these all demonstrate our significant contributions as follows.…”